Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 10 is Best) 1 1 1
Score -7.59 -6.78 -8.82
Market Cap (Millions USD) 290.48 259.45 313.54
Predicted Beta 0.65 0.65 0.67
Idiosyncratic Volatility 1.89 2.14 3.26

Annualized return and volatility

IXG
Annualized Return 0.0391
Annualized Std Dev 0.2562
Annualized Sharpe (Rf=0%) 0.1526

Row

Daily Return Statistics

IXG
Observations 4630.0000
NAs 484.0000
Minimum -0.1440
Quartile 1 -0.0054
Median 0.0004
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0066
Maximum 0.1394
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0007
Variance 0.0003
Stdev 0.0161
Skewness 0.0875
Kurtosis 12.1163

Downside Risk

IXG
Semi Deviation 0.0115
Gain Deviation 0.0125
Loss Deviation 0.0133
Downside Deviation (MAR=210%) 0.0159
Downside Deviation (Rf=0%) 0.0114
Downside Deviation (0%) 0.0114
Maximum Drawdown 0.7842
Historical VaR (95%) -0.0234
Historical ES (95%) -0.0399
Modified VaR (95%) -0.0219
Modified ES (95%) -0.0219
From Trough To Depth Length To Trough Recovery
2007-06-05 2009-03-09 2018-01-04 -0.7842 2714 455 2259
2002-04-22 2002-10-09 2003-10-06 -0.3308 377 122 255
2018-01-29 2018-12-24 NA -0.2662 490 233 NA
2006-05-10 2006-06-13 2006-10-03 -0.1348 104 24 80
2004-02-18 2004-05-17 2004-11-03 -0.1175 183 64 119

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec IXG
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA NA NA NA NA NA NA NA NA
2001 NA NA NA NA NA NA NA NA NA NA 0.0 0.0 NA
2002 0.0 0.0 0.0 0.4 0.0 0.0 -1.0 0.0 7.0 1.7 0.0 0.0 8.1
2003 0.0 0.0 2.6 -0.5 0.0 0.0 -1.0 0.0 1.6 0.0 1.1 0.0 3.9
2004 0.0 0.6 0.5 0.0 -0.4 -0.9 0.0 0.0 1.8 0.4 1.6 0.0 3.8
2005 1.1 0.4 -1.0 0.0 0.6 -0.3 0.3 1.2 0.0 0.2 1.1 0.0 3.7
2006 0.3 0.6 0.0 -0.8 1.1 0.0 -0.3 0.7 0.0 -0.8 -0.9 0.0 -0.1
2007 0.7 -0.8 0.0 0.0 0.3 0.0 0.3 0.0 1.9 -3.7 0.0 0.0 -1.4
2008 1.5 0.0 6.0 2.1 0.0 0.2 -0.3 0.0 1.7 0.0 -11.2 0.0 -0.9
2009 0.0 0.0 2.6 -0.2 1.8 0.6 0.0 -3.8 -4.3 0.0 1.5 0.0 -2.1
2010 1.5 0.0 1.5 0.0 -1.9 0.2 0.0 3.9 0.8 -0.2 2.6 0.0 8.5
2011 2.1 -2.2 0.9 0.0 -3.3 1.9 -0.3 -1.6 0.0 -4.7 -1.1 0.0 -8.2
2012 2.0 1.7 0.0 0.8 -3.1 0.0 -0.3 0.0 0.9 1.7 0.0 0.0 3.8
2013 0.7 0.0 -0.9 -0.5 0.0 0.8 1.9 0.0 0.9 -0.3 0.0 0.0 2.6
2014 0.0 0.0 1.1 0.4 0.0 0.8 -0.9 0.0 -0.9 0.0 -0.6 0.0 -0.2
2015 0.0 0.0 0.4 0.6 -0.2 0.9 0.0 -3.5 0.5 0.0 1.6 0.0 0.2
2016 -0.9 3.1 0.1 0.0 -0.1 0.0 -0.7 0.5 0.0 -0.5 0.9 0.0 2.5
2017 0.3 2.2 0.0 0.5 0.7 0.0 0.9 0.2 0.0 0.1 0.1 0.0 5.2
2018 0.4 -1.2 0.0 -0.1 0.9 0.0 -0.2 0.0 0.1 0.8 0.0 0.0 0.6
2019 -0.1 0.3 2.2 -0.6 0.0 0.8 -1.7 0.0 -1.7 1.0 0.0 -0.1 0.1

Row

Rolling Performance Chart

Snail Trail Chart